Abstract
In Chapter 24 we defined a martingale via an equality for certain conditional expectations. If we replace that equality with an inequality we obtain supermartingales and submartingales. Once again (ω, F, P) is a probability space that is assumed given and fixed, and (Fn)n≥-1 is an increasing sequence of σ-algebras.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Jacod, J., Protter, P. (2004). Supermartingales and Submartingales. In: Probability Essentials. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55682-1_25
Download citation
DOI: https://doi.org/10.1007/978-3-642-55682-1_25
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-43871-7
Online ISBN: 978-3-642-55682-1
eBook Packages: Springer Book Archive